Sergei Bazylik · Magne Mogstad · Joseph P. Romano · Azeem M. Shaikh · Daniel Wilhelm·刊期 2025-07 · 卷 250·Journal of Econometrics已编入正刊
多项数据排名的有限样本与大样本推断:政党排名应用AI 解读
It is common to rank different categories by means of preferences that are revealed through data on choices. A prominent example is the ranking of political candidates or parties using the estimated share of support each one receives in surveys or polls about political attitudes. Since these rankings are computed using estimates of the share of support rather than the true share of support, there may be considerable uncertainty concerning the true ranking of the political…
Yuehao Bai · Liang Jiang · Joseph P. Romano · Azeem M. Shaikh · Yichong Zhang·刊期 2024-04 · 卷 241(1)·Journal of Econometrics已编入正刊
配对随机实验中的协变量调整AI 解读
This paper studies inference for the average treatment effect (ATE) in experiments in which treatment status is determined according to “matched pairs” and it is additionally desired to adjust for observed, baseline covariates to gain further precision. By a “matched pairs” design, we mean that units are sampled i.i.d. from the population of interest, paired according to observed, baseline covariates, and finally, within each pair, one unit is selected at random for…
This article studies inference for the average treatment effect in randomized controlled trials where treatment status is determined according to a “matched pairs” design. By a “matched pairs” design, we mean that units are sampled iid from the population of interest, paired according to observed, baseline covariates and finally, within each pair, one unit is selected at random for treatment. This type of design is used routinely throughout the sciences, but fundamental…
This paper shows how asymptotically valid inference in regression models based on the weighted least squares (WLS) estimator can be obtained even when the model for reweighting the data is misspecified. Like the ordinary least squares estimator, the WLS estimator can be accompanied by heteroskedasticity-consistent (HC) standard errors without knowledge of the functional form of conditional heteroskedasticity. First, we provide rigorous proofs under reasonable assumptions;…
Ivan A. Canay · Joseph P. Romano · Azeem M. Shaikh·上线 2017(仅到年) · 卷 85(3)·Econometrica已编入正刊
近似对称性假设下的随机化检验AI 解读
This paper develops a theory of randomization tests under an approximate symmetry as-sumption. Randomization tests provide a general means of constructing tests that control size in finite samples whenever the distribution of the observed data exhibits symmetry under the null hypothesis. Here, by exhibits symmetry we mean that the distribution remains invariant under a group of transformations. In this paper, we provide conditions under which the same construction can be…
In this article, we consider the use of permutation tests for comparing multivariate parameters from two populations. First, the underlying properties of permutation tests when comparing parameter vectors from two distributions P and Q are developed. Although an exact level α test can be constructed by a permutation test when the fundamental assumption of identical underlying distributions holds, permutation tests have often been misused. Indeed, permutation tests have…
Given independent samples from $P$ and $Q$, two-sample permutation tests allow one to construct exact level tests when the null hypothesis is $P=Q$. On the other hand, when comparing or testing particular parameters $\theta$ of $P$ and $Q$, such as their means or medians, permutation tests need not be level $\alpha$, or even approximately level $\alpha$ in large samples. Under very weak assumptions for comparing estimators, we provide a general test procedure whereby the…
This paper provides conditions under which subsampling and the bootstrap can be used to construct estimators of the quantiles of the distribution of a root that behave well uniformly over a large class of distributions $\mathbf{P}$. These results are then applied (i) to construct confidence regions that behave well uniformly over $\mathbf{P}$ in the sense that the coverage probability tends to at least the nominal level uniformly over $\mathbf{P}$ and (ii) to construct tests…
Consider the problem of testing s hypotheses simultaneously. In this paper, we derive methods which control the generalized family-wise error rate given by the probability of k or more false rejections, abbreviated k-FWER. We derive both single-step and step-down procedures that control the k-FWER in finite samples or asymptotically, depending on the situation. Moreover, the procedures are asymptotically balanced in an appropriate sense. We briefly consider control of the…
Joseph P. Romano · Azeem M. Shaikh · Michael Wolf·刊期 2008-04 · 卷 24(02)·Econometric Theory已编入正刊
基于广义错误率的形式化数据窥探处理AI 解读
It is common in econometric applications that several hypothesis tests are carried out simultaneously. The problem then becomes how to decide which hypotheses to reject, accounting for the multitude of tests. The classical approach is to control the familywise error rate (FWE), which is the probability of one or more false rejections. But when the number of hypotheses under consideration is large, control of the FWE can become too demanding. As a result, the number of false…
Consider the problem of testing $s$ hypotheses simultaneously. The usual approach restricts attention to procedures that control the probability of even one false rejection, the familywise error rate (FWER). If $s$ is large, one might be willing to tolerate more than one false rejection, thereby increasing the ability of the procedure to correctly reject false null hypotheses. One possibility is to replace control of the FWER by control of the probability of $k$ or more…
Joseph P. Romano · Michael Wolf·刊期 2005-07 · 卷 73(4)·Econometrica已编入正刊
逐步多重检验:将数据窥探形式化AI 解读
In econometric applications, often several hypothesis tests are carried out at once. The problem then becomes how to decide which hypotheses to reject, accounting for the multitude of tests. This paper suggests a stepwise multiple testing procedure that asymptotically controls the familywise error rate. Compared to related single-step methods, the procedure is more powerful and often will reject more false hypotheses. In addition, we advocate the use of studentization when…
In this paper we consider the construction of optimal tests of equivalence hypotheses. Specifically, assume X1,…,Xn are i.i.d. with distribution Pθ, with θ∈ℝk. Let g(θ) be some real-valued parameter of interest. The null hypothesis asserts g(θ)∉(a,b) versus the alternative g(θ)∈(a,b). For example, such hypotheses occur in bioequivalence studies where one may wish to show two drugs, a brand name and a proposed generic version, have the same therapeutic effect. Little optimal…
Joseph P. Romano · Michael Wolf·刊期 2001-09 · 卷 69(5)·Econometrica已编入正刊
含线性时间趋势的自回归模型中的子抽样置信区间AI 解读
A new method is proposed for constructing confidence intervals in autoregressive models with linear time trend. Interest focuses on the sum of the autoregressive coefficients because this parameter provides a useful scalar measure of the long-run persistence properties of an economic time series. Since the type of the limiting distribution of the corresponding OLS estimator, as well as the rate of its convergence, depend in a discontinuous fashion upon whether the true…
Given a sample $X_1,\dots, X_n$ from a distribution $F$, the problem of constructing nonparametric confidence intervals for the mean $\mu(F)$ is considered. Unlike bootstrap procedures or those based on normal approximations, we insist on any procedure being truly nonparametric in the sense that the probability that the confidence interval contains $\mu(F)$ based on a sample of size $n$ from $F$ be at least $1 - \alpha$ for all $F$ and all $n$. Bahadur and Savage proved it…
D.N. Politis · Joseph P. Romano · Michael Wolf·刊期 1997-12 · 卷 81(2)·Journal of Econometrics已编入正刊
异方差时间序列的子抽样推断AI 解读
In this article, a general theory for the construction of confidence intervals or regions in the context of heteroskedastic-dependent data is presented. The basic idea is to approximate the sampling distribution of a statistic based on the values of the statistic computed over smaller subsets of the data. This method was first proposed by Politis and Romano (1994b) for stationary observations. We extend their results to heteroskedastic observations, and prove a general…
In this article we consider the large-sample behavior of estimates of autocorrelations and autoregressive moving average (ARMA) coefficients, as well as their distributions, under weak conditions. Specifically, the usual text book formulas for variances of these estimates are based on strong assumptions and should not be routinely applied without careful consideration. Such is the case when the time series follows an ARMA process with uncorrelated innovations that may not be…
In this article, the construction of confidence regions by approximating the sampling distribution of some statistic is studied. The true sampling distribution is estimated by an appropriate normalization of the values of the statistic computed over subsamples of the data. In the i.i.d. context, the method has been studied by Wu in regular situations where the statistic is asymptotically normal. The goal of the present work is to prove the method yields asymptotically valid…
This article introduces a resampling procedure called the stationary bootstrap as a means of calculating standard errors of estimators and constructing confidence regions for parameters based on weakly dependent stationary observations. Previously, a technique based on resampling blocks of consecutive observations was introduced to construct confidence intervals for a parameter of the m-dimensional joint distribution of m consecutive observations, where m is fixed. This…
In 1989 Kunsch introduced a modified bootstrap and jackknife for a statistic which is used to estimate a parameter of the $m$-dimensional joint distribution of stationary and $\alpha$-mixing observations. The modification amounts to resampling whole blocks of consecutive observations, or deleting whole blocks one at a time. Liu and Singh independently proposed (in 1988) the same technique for observations that are $m$-dependent. However, many time-series statistics, notably…
Fisher's randomization construction of hypothesis tests is a powerful tool to yield tests that are nonparametric in nature in that their level is exactly equal to the nominal level in finite samples over a wide range of distributional assumptions. For example, the usual permutation t test to test equality of means is valid without a normality assumption of the underlying populations. On the other hand, Fisher's randomization construction is not applicable in this example…
Given independent samples from P and Q, two-sample permutation tests allow one to construct exact level tests when the null hypothesis is P=Q. On the other hand, when comparing or testing particular parameters θ of P and Q, such as their means or medians, permutation tests need not be level α, or even approximately level α in large samples. Under very weak assumptions for comparing estimators, we provide a general test procedure whereby the…
This paper provides conditions under which subsampling and the bootstrap can be used to construct estimators of the quantiles of the distribution of a root that behave well uniformly over a large class of distributions P. These results are then applied (i) to construct confidence regions that behave well uniformly over P in the sense that the coverage probability tends to at least the nominal level uniformly over P and (ii) to construct tests…
Consider the problem of testing s hypotheses simultaneously. The usual approach restricts attention to procedures that control the probability of even one false rejection, the familywise error rate (FWER). If s is large, one might be willing to tolerate more than one false rejection, thereby increasing the ability of the procedure to correctly reject false null hypotheses. One possibility is to replace control of the FWER by control of the probability of k or more…
Given a sample X1,…,Xn from a distribution F, the problem of constructing nonparametric confidence intervals for the mean μ(F) is considered. Unlike bootstrap procedures or those based on normal approximations, we insist on any procedure being truly nonparametric in the sense that the probability that the confidence interval contains μ(F) based on a sample of size n from F be at least 1−α for all F and all n. Bahadur and Savage proved it…
A General Resampling Scheme for Triangular Arrays of α-Mixing Random Variables with Application to the Problem of Spectral Density Estimation
In 1989 Kunsch introduced a modified bootstrap and jackknife for a statistic which is used to estimate a parameter of the m-dimensional joint distribution of stationary and α-mixing observations. The modification amounts to resampling whole blocks of consecutive observations, or deleting whole blocks one at a time. Liu and Singh independently proposed (in 1988) the same technique for observations that are m-dependent. However, many time-series statistics, notably…